Similar Search Results

Reference class selection in similarity-based forecasting of corporate sales growth

Theising, Etienne; Wied, Dominik; Ziggel, Daniel - In: Journal of forecasting 42 (2023) 5, pp. 1069-1085

Persistent link: https://www.econbiz.de/10014338812

A completely automated optimization strategy for global minimum-variance portfolios based on a new test for structural breaks

Berens, Tobias; Wied, Dominik; Ziggel, Daniel - 2013

Persistent link: https://www.econbiz.de/10009776171

A new online-test for changes in correlations between assets

Arnold, Matthias; Bissantz, Nicolai; Wied, Dominik; … - 2010

Persistent link: https://www.econbiz.de/10008839855

Estimation window strategies for value-at-risk and expected shortfall forecasting

Berens, Tobias; Weiß, Gregory N. F.; Ziggel, Daniel - In: Journal of risk 20 (2017/2018) 5, pp. 33-82

Persistent link: https://www.econbiz.de/10011914663

Evaluating Value-at-Risk forecasts : a new set of multivariate backtests

Wied, Dominik; Weiß, Gregor; Ziggel, Daniel - In: Journal of banking & finance 72 (2016), pp. 121-132

Persistent link: https://www.econbiz.de/10011635501

An innovative risk management methodology for trading equity indices based on change points

Gösmann, Josua; Ziggel, Daniel - In: The journal of asset management 19 (2018) 2, pp. 99-109

Persistent link: https://www.econbiz.de/10011847695

New backtests for unconditional coverage of expected shortfall

Löser, Robert; Wied, Dominik; Ziggel, Daniel - In: Journal of risk 21 (2018/2019) 4, pp. 39-59

Persistent link: https://www.econbiz.de/10012059868

Evaluating Value-at-Risk Forecasts : A New Set of Multivariate Backtests

Wied, Dominik - 2015

We propose two new tests for detecting clustering in multivariate Value-at-Risk (VaR) forecasts. First, we consider CUSUM-tests to detect first-order instationarities in the matrix of VaR-violations. Second, we propose x<sup>2</sup>-tests for detecting cross-sectional and serial dependence in the...

Persistent link: https://www.econbiz.de/10013024527

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Dette, Holger (contributor); Podolskij, Mark (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002142062

A central limit theorem for realised power and bipower variations of continuous semimartingales

Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - 2004

Persistent link: https://www.econbiz.de/10002704142